S&P launches first real-time currency indexes

The indexes, which are the first in a series of currency beta indexes, replicate the performance of the Chinese renminbi and the Indian rupee versus the US dollar, and represent the performance of a rolling investment in three month, non-deliverable, forward currency contracts. The three-month currency forward contracts, which are entered into after the close of trading on each rebalancing date, are held until maturity and then rolled over.

On any date, the index is calculated by valuing the

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: